本文的主要目的是從行業(yè)層面研究外匯波動(dòng)對股票收益的影響。本文第一部分?jǐn)⑹隽巳嗣駧琶媾R升值的現(xiàn)狀及其產(chǎn)生原因,并逐個(gè)分析人民幣升值對十個(gè)不同行業(yè)上市股票收益的影響。本文在第二部分量化分析在中國和美國市場,不同行業(yè)股票回報(bào)率對外匯走勢的敏感度。實(shí)證分析主要應(yīng)用雙因子普通最小二乘法（OLS）回歸模型。為了使結(jié)果能夠剔除宏觀市場的影響,回歸模型中包括控制因子,由相關(guān)股票市場收益率來表示。本文在最后部分運(yùn)用了進(jìn)一步的實(shí)證檢驗(yàn)來對比分析,其中一月期人民幣無本金交割遠(yuǎn)期價(jià)格和根據(jù)金融市場分段研究被用到實(shí)證檢驗(yàn)中。實(shí)證結(jié)果表明,美國和中國股票市場都受到外匯變化的影響,然而不同行業(yè)的敏感度和顯著性表現(xiàn)不同。同時(shí)由于中國相對受限的貨幣政策,實(shí)證檢驗(yàn)顯示人民幣無本金交割遠(yuǎn)期價(jià)格比人民幣即期匯率更能反映匯率波動(dòng)情況。實(shí)證分析同樣說明股票收益和外匯波動(dòng)從長期看存在相關(guān)聯(lián)系,但短期上幾乎不存在顯著影響。 

【文章來源】：上海交通大學(xué)上海市 211工程院校 985工程院校 教育部直屬院校

【文章頁數(shù)】：67 頁

【學(xué)位級別】：碩士

【文章目錄】：
摘要
Abstract
Introduction
1. RMB present status and the reason for appreciation
    1.1 The present status of the RMB exchange rate
    1.2 The reason of RMB appreciation
        1.2.1 The external pressure analysis
        1.2.2 The internal pressure analysis
    1.3 RMB appreciation’s advantage and disadvantage for Chinese economy
        1.3.1 RMB appreciation’s advantage
        1.3.2 RMB appreciation’s disadvantage
2. Potential impact of the RMB appreciation
    2.1 Potential impact of RMB appreciation at market level
    2.2 Potential impact of RMB appreciation at industry level
        2.2.1 Energy
        2.2.2 Materials
        2.2.3 Industrials
        2.2.4 Consumer Discretionary
        2.2.5 Consumer Staples
        2.2.6 Health Care
        2.2.7 Financials
        2.2.8 Information Technology
        2.2.9 Telecommunication Services
        2.2.10 Utilities
3. Sensitivity analysis of the effect of foreign exchange movement on stock returns in U.S.a nd in China market at industry level
    3.1 Sensitivity analysis of the effect of foreign exchange movement on stock returns in US
        3.1.1 Data Description
        3.1.2 Approach
        3.1.3 Empirical Results
    3.2 Sensitivity analysis of currency risk for different industries in China market
        3.2.1 Data Description
        3.2.2 Approach
        3.2.3 Empirical Results
4 Comparison of the different empirical results in the U.S. market and in the Chinese market
    4.1 The efficiency and the characteristics of the two markets
    4.2 Chinese monetary policy effect
        4.2.1 Test Approach
        4.2.2 Empirical result
    4.3 Time span effect and Sub period test
        4.3.1 Sub period tests in different market conditions
        4.3.2 Sub period tests during the period that RMB fluctuated dramatically
    4.4 Result discussion
Conclusion
Bibliography
Acknowledgments



本文編號：3464203